With the large-scale integration of high-penetration renewable energy into the power grid, there are increasing demands for frequency regulation. To address the issues of high regulation losses and poor economic performance resulting from the  frequent  ramping  of  conventional  thermal  power  units,  this  paper  proposes  a  secondary  frequency  regulation strategy for a hybrid energy storage system (HESS) that incorporates the response characteristics of both thermal power and compressed air energy storage (CAES). First, the automatic generation control signal is decomposed into high-frequency and low-frequency components using the improved complete ensemble empirical mode decomposition with adaptive noise (ICEEMDAN)  and  multiscale  permutation  entropy  (MPE)  methods.  Subsequently,  leveraging  the  similarity  between thermal power units and CAES in terms of dynamic response time and regulation inertia, a coordinated control method for a thermal-HESS  is  developed.  This  method  enables  the  rational  allocation  of  high- and  low-frequency  components  among different units, thereby enhancing the system’s frequency regulation performance while reducing the output variability of the thermal unit. Finally, a dynamic simulation model is built in Matlab/Simulink to validate the regulation performance and economic benefits of the proposed strategy. Simulation results demonstrate that the proposed strategy can fully leverage the analogous response characteristics between thermal power and CAES during secondary frequency regulation, as well as the complementary advantages of the HESS in terms of fast response and large capacity. This coordinated approach effectively reduces  and  smoothens  the  output  of  the  thermal  power  unit,  thereby  enhancing  the  overall  frequency  regulation performance and economic benefits of the thermal-HESS.